물가안정목표제하에서의 최적금리준칙

이명활 한국금융연구원 2003 금융연구 Vol.17 No.1

물가안정목표를 달성하기 위한 적정 단기금리수준을 제시해 줄 수 있는 금리준칙을 도출하기 위해서는 통화정책의 적정시차 및 적정반응계수를 동시에 고려할 필요가 있다. 그러나 금리준칙에 대한 기존의 연구에서는 시계열자료를 이용하여 단순히 금리준칙에 대한 기존의 연구에서는 시계열자료를 이용하여 단순히 금리준칙을 추정함으로써 과거의 금리정책을 설명하는 데에는 유용하였으나, 향후 적정금리수준을 제시하는 데에는 한계가 있었다. 아울러 정책당국의 목적함수를 극대화하도록 금리준칙을 도출한 기존의 연구에도 반응계수의 추정과정이 엄밀하지 못하고 적정시차를 동시에 고려하지 않았다는 한계점이 있다. 본고에서는 동태적 수치 최적화(numerical dynamic optimization) 기법을 이용하여 통화당국의 손실함수를 극소화하는 통화정책의 최적시차 및 최적반응계수를 동시에 시산함으로써 물가안정목표제하에서의 최적금리준칙(optimal interest rate rule)을 도출하였으며, 동 최적금리준칙의 상대적 우수성을 기존의 금리준칙과 비교·평가하였다. The interest rate rule, which attempts to set the optimal level of short-term interest rate to achieve the inflation target, should contain both an optimal feedback horizon and optimal response coefficients. Early research on the interest rate rule simply estimated the coefficients of the policy rule using time series data. As a result, it could not suggest the optimal level of interest rate but was only useful in evaluating the behavior of past monetary policy. Recent literature on the interest rate rule, which uses the optimal response coefficients to optimize the objective function of the policy-maker, also has its shortcomings in that the optimal response coefficients were not derived from the explicit optimization process or did not consider the optimal feedback horizon at the same time. In this paper, I derive both the optimal feedback horizon and the optimal response coefficients, which guarantee minimization of the loss function of the policy-maker under inflation targeting, by using numerical dynamic rate rule with that of other estimated interest rate rules.

Current Issues : A Proposal on Facilitating Corporate Restructuring in Korea

( Myong Hwal Lee ) 한국금융연구원 2016 Korean Economic and Financial Review Vol.21 No.1

Balance of Payments

( Myong-Hwal Lee ) 한국금융연구원 2002 Korean Economic and Financial Outlook(종간) Vol.7 No.3

準화폐적 스테이블코인과 민간의 화폐발행

이명활(Myong-Hwal Lee) 은행법학회 2023 은행법연구 Vol.16 No.1

본고에서는 準화폐적 스테이블코인이 실생활에서 미래의 화폐로 기능할 가능성을 조망하고, 지급결제, 금융안정, 국경간 거래 및 통화정책 등에 미치는 다양한 영향을 살펴보았다. 아울러 주요국의 과거 민간화폐 발행 사례와 현재 진행 중인 準화폐적 스테이블코인 실험 등을 소개하고, 현재 가시화되고 있는 글로벌 규제추세를 고려하여 準화폐적 스테이블코인에 대한 바람직한 규제 방향을 도출하였다. 금융 전반에 미치는 영향력을 감안할 때 準화폐적 스테이블코인은 은행 등과 같은 예금보험 부보 예금취급 금융기관을 중심으로 발행을 허용하고, 準화폐적 스테이블코인만을 발행하고자 하는 비은행 민간업자에 대해서는 디지털화폐 전문 내로우뱅크의 형태로 발행을 허용하되 예금보험 가입을 의무화하는 방안이 바람직해 보인다. This study evaluates whether fiat-based stablecoins would obtain a quasi-money status in the coming days of new digital era. It also measures the possible impacts of quasi-money stablecoins on payment systems, financial stability, cross-border transactions, monetary policies, etc. The paper starts out by introducing exemplary cases of private currency issuance in addition to the currently ongoing experiment of stablecoins as near money. It then suggests policy guidelines for quasi-money stablecoins considering the global trend of regulatory framework for stablecoins and cryptocurrencies. Taking into account that cash equivalent stablecoins will have quite a significant effect across the entire financial system, it seems reasonable that the issuance should mainly be allowed to financial institutions with authorized banking license. Non-bank depository financial institutions protected by deposit insurance may also be eligible for quasi-money stablecoin issuance. For non-bank private institutions who intend to only issue money equivalent stablecoins, the cash instrument per se should be limited to the form of digital currency counterpart of narrow banking, and the entities should be made obligatory of deposit insurance.

글로벌 금융불안시 우리나라 주식시장의 취약도 분석

이명활 ( Myong-hwal Lee ) 한국금융연구원 2020 금융연구 Vol.34 No.4

본고에서는 시스템 리스크 관련 연구에서 많이 활용되고 있는 CoVaR 개념을 이용하여, 글로벌주가 폭락 시 우리나라를 포함한 주요국 주식시장의 취약도를 분석하였다. 분위수 회귀분석을 이용한 CoVaR 측정방법 외에도 꼬리부분의 상호연계성을 신축적으로 반영할 수 있는 Copula 방법을 이용하여 주가하락률 CoVaR 값을 측정하였다. G20을 중심으로 한 20개국을 대상으로 CoVaR 값을 추정한 결과, 글로벌 주가 충격 발생 시 Copula 기반 CoVaR 값이 분위수 회귀분석을 이용한 경우보다 모든 국가에서 커지는 것으로 나타났다. 이는 Copula를 이용한 추정방법의 경우 꼬리부분의 극단으로 갈수록 높아진 상관관계를 반영하는 반면, 분위수 회귀분석 추정방법은 특정분위수일 때의 고정 상관관계만을 반영함에 따라 CoVaR 값이 상대적으로 작게 추정된데 기인하는 것으로 해석된다. 한편, 글로벌 주가 충격에 대한 우리나라 주가의 취약성 정도는 대체로 분석대상국 평균 이상 수준을 기록하여 글로벌 주가 충격의 영향이 작지 않음을 보여 주였다. 특히 일본과 미국의 주가 충격에 대해서는 주가의 동조성 및 전이효과 측면에서 모두 높은 수준을 기록하여 우리나라의 주가가 일본 및 미국의 주가 변동에 취약함을 시사해 주었다. This paper uses CoVaR concept, that is widely used in the systemic risk research, to analyze how much the stock markets of major economies including Korea would falter when global stock prices plunge. In the event of financial instability such as the global financial crisis, the interdependence among major countries’ stock markets tend to deepen. In order to capture such anomalies, varying correlations in the tail risks must be considered. This paper not only uses quantile regression to measure downside CoVaR but also adopts Copula method, that can flexibly capture the interdependence structure in the tails. Using Copula method has an advantage in capturing all altering correlations in the stock price distributions of major countries and also it allows to measure CoVaR at a certain quantile flexibly. It is shown that the estimates of downside CoVaR of developed and emerging countries, mostly G20, measured using Copula method were higher, with no exception, than those measured using quantile regression. This is attributed to quantile regression’s relative underestimation of CoVaR as it only considers a constant correlation at a given quantile while Copula method captures varying correlation as it goes to extreme tail. The empirical results also demonstrated that Korea had a higher-than-average stock synchronicity among the 20 countries, which indicates that the Korean stock market is relatively more vulnerable to global stock price shocks than other countries. In particular, the Korean stock market was sensitive to the shocks from Japan and U.S., recording high levels in both comovement and contagion effects of the stock prices. Finally, it was also worthwhile to note that the CoVaR estimates among Asian countries and among developed countries were high respectively, indicating significant interdependence of stock price fluctuations within such regions. Again, the results were more evident with the CoVaR estimated by Copula method than the CoVaR estimated by quantile regression. It is expected that the analysis presented in this paper can be used as one of the measures to assess the relative vulnerability of stock markets to external shocks. Nevertheless, further empirical studies and more rigorous estimation may be required to validate our methodology in order for this to act as a more useful indicator. Also, research on the time-varying CoVaR may be desired to examine the level of vulnerability of Korean stock market in future studies.

금융연구 : Copula를 이용한 은행부문의 시스템적 리스크 측정

이긍희 ( Geung Hee Lee ),이명활 ( Myong Hwal Lee ),이종한 ( Jong Han Lee ) 한국금융연구원 2013 금융연구 Vol.27 No.2

In the wake of the 2008 global financial crisis, systemic risks received heightened attention as the risks of financial institutions spread to risks of overall economy, through an intricate channel of interdependence among financial institutions. The significance of macro-prudential policies also rose sharply as a tool to prevent systemic risks. For effective implementation of macro-prudential measures, a rigorous estimation of systemic risks should precede. In estimating systemic risks, it is important to fully consider interdependence among financial institutions and reflect the time-varying characteristics of those structure. However, the current methods of estimating systemic risks based on the fixed correlation have limitations in reflecting the time-varying and complex relations among risk exposures. To address this problem, we introduce the Vine Copula method that can model multi-variate distributions while taking into account an intricate relationship of interdependence innate in financial data. And we apply it to estimating systemic risk in the Korean banking sector. First we derive the joint probability distribution in the banking sector using the Vine Copula, based on CDS premium data of top ten banks. Then, we calculate the Joint Probability of Distress (JPD) and the Banking Stability Index (BSI) from the joint probability distribution. During the process, both the default rate based on CDS premium data and the implied default rate (IDR) derived from bond yields are used to calculate default rates of individual banks. The results show that the systemic risk in the banking sector soared right after the Lehman Brothers collapse in 2008 and then began to decline. Also the systemic risk turned out greater when calculated based on the default rates from CDS premium data than the IDR derived from bond yields. Compared to the Gaussian Copula that assumes normal distribution, the results are more accurate in describing the systemic risk at the time of the 2008 global financial crisis. The findings suggest that the indicators, the Joint Probability of Distress (JPD) and the Banking Stability Index (BSI), can be used to assess changes in systemic risks and interdependence in the banking sector. To use the derived systemic risk indicators as a part of the Early Warning Indices, it will be necessary as a future study to identify macroeconomic and financial variables that affect the derived systemic risks, and forecast those risk indicators with the projection of the related variables. In addition, it will yield a more reliable outcome if the Joint Probability Distribution is derived using other financial variables such as stock prices and bond yields other than CDS premium data.

Vine Copula를 이용한 금융그룹의 통합리스크 측정

이긍희 ( Geung-hee Lee ),이명활 ( Myong-hwal Lee ) 한국리스크관리학회 2017 리스크 管理硏究 Vol.28 No.3

금융그룹의 통합리스크를 정확히 산출하기 위해서는 개별 리스크 분포와 이들을 연결해주는 상관관계를 이용하여 분산효과를 측정하고 이를 감안하여 리스크를 합산할 필요가 있다. 그러나 분산-공분산 방법, Copula 방법 등 기존 방법들은 리스크 익스포저 간의 복잡한 상관관계를 제대로 반영하지 못한다는 한계가 있다. 본고에서는 이와 같은 한계를 완화하고자 다변량 분석에 유용한 Vine Copula 방법을 이용하여 금융그룹의 통합리스크를 합산·측정하는 방안을 제시하였다. 실증분석 결과 Vine Copula 방법에 의한 추정이 여타 방법에 비해 실제 데이터를 보다 정확하고 유연하게 표현하는 것으로 나타났다. 반면 분산-공분산 방법, 정규 Copula 등 기존 방법은 통합리스크 합산 시에 꼬리부분의 상관관계를 상대적으로 낮게 평가하여 리스크 간 전이가 확산되는 위기 상황에서 통합 리스크를 과소평가하는 것으로 분석되었다. In order to accurately estimate the integrated risk of a financial group, it is necessary to first measure the marginal distribution of each risk exposure and the diversification effects by considering the correlations of individual risks; then take those into account when totaling up all risks. The currently used methods such as the Var-Covariance and the Copula method, however, have limitations in that they cannot precisely capture the complex correlations among risk exposures. This paper suggests a new way of measuring the integrated risk of a financial group by using the Vine Copula function to complement those limitations. The simulation results show that the Vine Copula method more accurately and flexibly reflect the characteristics of actual data compared to other methods. In particular, the Var-Covariance method and the Gaussian Copula method relatively undervalue the tail correlations when measuring the integrated risks, and that eventually led to underestimating the integrated risks at the critical crisis situations where risks proliferate among themselves.

정서,행동장애 학생 지원을 위한 Wee project 실태 및 인식조사

서경신 ( Gyoung Sin Seo ),이효신 ( Hyo Shin Lee ),곽윤정 ( Yun Jung Goak ),권영활 ( Young Hwal Kwon ),오명섭 ( Myong Seop Oh ) 한국정서·행동장애아교육학회(구 한국정서학습장애아교육학회) 2014 정서ㆍ행동장애연구 Vol.30 No.3

본 연구는 정서·행동장애학생 지원을 위한 Wee Project 근무자들의 인식을 알아보고자 전국의 Wee Project에 근무하고 있는 사회복지사, 임상심리사, 상담교사, 전문상담사 290명을 대상으로 조사연구를 실시하였다. Wee Project에 대한 설문지를 통해 정서·행동장애 학생의 지원 실태, 지원에 대한 인식, 지원의 만족도를 조사하여 분석하였다. 이에 대한 연구 결과는 첫째, 정서·행동장애학생 지원 운영실태의 집단 간 비교 결과, 클래스는 체계적 운영과 지원 실태에서, 스쿨은 정보교류 실태에서 어려움을 겪고 있었다. 둘째, 정서·행동장애학생 지원에 대한 인식에서 개별지원요인은 집단 간 인식의 차이가 없으나 가족지원요인과 교사지원요인에서는 클래스가 가장 낮은 인식을 보였다. 셋째, 정서·행동장애학생 지원에 관한 만족도에서 효능감과 지위만족도에 대한 집단 간 차이는 나타나지 않았으나 프로그램 운영만족도에 대해서는 센터가 가장 높고 스쿨이 가장 낮았다. 이러한 결과에 기초하여 Wee project의 활성화방안에 대해 제안하였다. This study was carried out to investigate the perceptions of Wee Project workers for supporting students with emotional and behavioral disorders. Participants in this study were 290 social workers, clinical psychologists, counselors and specialized counselors working at Wee Projects across the nation. The current situation, perception, and satisfaction of support for students with emotional and behavioral disorders were examined and analyzed with the questionnaire about the Wee project. The results of this study are summarized as follows. First, as a result of comparing the current situation of managing support for students with emotional and behavioral disorders by groups, Class demonstrated difficulties in systematic management and support while School struggled in information exchange. Second, regarding the perception of support for students with emotional and behavioral disorders, groups did not show difference in perception for individual support but Class demonstrated the lowest perception for family support and teacher support. Third, regarding satisfaction of support for students with emotional and behavioral disorders, groups did not show difference in efficacy and status satisfaction, but for satisfaction of program management, Class showed the highest and the School had the lowest. The revitalization plans for the Wee project were proposed based on these results.

Korean Economic and Financial Outlook ( Vol. 6 , No. 2 )

(Han Yung Jung),(Jong Kyu Park),(Sang Che Lee),(Myong Hwal Lee),(Jessica Y . Ko),(Hae Wang Chung) 한국금융연구원 2001 Korean Economic and Financial Outlook(종간) Vol.6 No.2

Korean Economic & Financial Review

( Heung Sik Choe ),( Yong Sang Shyn ),( Joon Kyung Ha ),( Yoon Sok Lee ),( Sang Ho Sohn ),( Chan Woo Jeong ),( Suk Ho Lee ),( Ja Bonn Kim ),( Bon Sung Gu ),( Myong Hwal Lee ),( Kyeong Hoon Kang ),( Ju 한국금융연구원 2006 Korean Economic and Financial Review Vol.11 No.2